Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0137 |
| Annualized Std Dev | 0.1210 |
| Annualized Sharpe (Rf=0%) | -0.1136 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3510.0000 |
| NAs | 1.0000 |
| Minimum | -0.0810 |
| Quartile 1 | -0.0023 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0024 |
| Maximum | 0.1228 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0076 |
| Skewness | 0.7021 |
| Kurtosis | 38.5209 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0054 |
| Gain Deviation | 0.0063 |
| Loss Deviation | 0.0066 |
| Downside Deviation (MAR=210%) | 0.0107 |
| Downside Deviation (Rf=0%) | 0.0054 |
| Downside Deviation (0%) | 0.0054 |
| Maximum Drawdown | 0.4190 |
| Historical VaR (95%) | -0.0094 |
| Historical ES (95%) | -0.0186 |
| Modified VaR (95%) | -0.0050 |
| Modified ES (95%) | -0.0050 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-09-20 | 2009-03-09 | NA | -0.4190 | 3399 | 369 | NA |
| 2007-05-29 | 2007-07-27 | 2007-09-19 | -0.0947 | 80 | 43 | 37 |
| 2007-05-01 | 2007-05-09 | 2007-05-11 | -0.0037 | 9 | 7 | 2 |
| 2007-04-13 | 2007-04-17 | 2007-04-19 | -0.0027 | 5 | 3 | 2 |
| 2007-05-14 | 2007-05-15 | 2007-05-16 | -0.0009 | 3 | 2 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | -0.3 | -0.6 | -0.3 | -0.9 | 0.9 | -0.2 | -1.3 | 0.4 | 0.2 | -2 |
| 2008 | -0.6 | -0.4 | -0.2 | 1.5 | 0 | -0.8 | -1.2 | 0.2 | 3.5 | 0 | -3.1 | 0.6 | -0.5 |
| 2009 | 0.5 | -1.5 | -1 | -0.9 | 1.4 | -0.7 | 1.6 | -1.8 | -3.4 | -0.9 | -0.2 | 0.2 | -6.7 |
| 2010 | -0.3 | -0.7 | -1 | 0.3 | -1.2 | -0.3 | -0.3 | 0.4 | -0.5 | -0.8 | 0.3 | 0.2 | -3.9 |
| 2011 | -0.4 | -0.8 | -0.7 | 0.2 | -1.2 | -0.1 | -0.4 | -0.7 | -2 | -2.4 | -0.2 | 0.1 | -8.3 |
| 2012 | -0.4 | -0.4 | -0.2 | -0.5 | -1.5 | 1 | 0 | 0.3 | -0.7 | -0.1 | 0.2 | 0.4 | -1.9 |
| 2013 | -0.2 | -0.3 | -0.3 | -0.7 | -1.3 | 0 | -1.4 | -0.1 | -0.1 | -0.7 | 0.1 | 0.1 | -4.8 |
| 2014 | 0 | 0.1 | -0.3 | -0.6 | 0.1 | -0.4 | -0.5 | 0.1 | -0.3 | 0.1 | -1.5 | -0.3 | -3.4 |
| 2015 | -0.3 | 0 | -0.2 | -0.2 | -0.3 | -0.4 | -0.2 | -0.8 | -1.1 | 0.1 | 0.2 | 0.1 | -3 |
| 2016 | -1.1 | 1 | -0.4 | 0.2 | -0.3 | -0.3 | -1 | -0.2 | 0.4 | -0.8 | -0.9 | 0 | -3.3 |
| 2017 | -0.1 | -0.1 | 0 | -0.4 | -0.1 | 0.2 | -0.3 | -0.3 | 0.1 | -0.5 | -0.5 | 0.1 | -1.7 |
| 2018 | -0.6 | -1.1 | 0.3 | -0.4 | -0.2 | -0.2 | -0.3 | 0.1 | -0.2 | 0 | -0.2 | 0.1 | -2.6 |
| 2019 | -0.5 | -0.2 | -0.5 | -0.7 | -0.7 | -0.4 | -0.5 | -0.1 | -0.6 | 0 | -0.2 | 0.1 | -4.2 |
| 2020 | -0.4 | 0.4 | -3.2 | -2.2 | 0.4 | -0.1 | 0.2 | 0.1 | -0.1 | 0.2 | -0.1 | 0.1 | -4.7 |
| 2021 | 0 | 0.8 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-04-11 104. SPY 144. -0.0041 0.0023 0.0215 0.0209 0.112 0.256 0.284 GLD 67.1 -0.00120 0.019
2 2007-04-12 104. SPY 145. 0.0044 0.0056 0.0464 0.022 0.115 0.265 0.276 GLD 67.0 -0.0013 0.0027
3 2007-04-13 104. SPY 145. 0.0046 0.0075 0.0434 0.0222 0.130 0.266 0.314 GLD 67.8 0.0127 0.0147
4 2007-04-16 104. SPY 147. 0.0095 0.0156 0.0518 0.0242 0.138 0.296 0.317 GLD 68.4 0.0083 0.0281
5 2007-04-17 104. SPY 147. 0.0027 0.0171 0.0618 0.0289 0.143 0.297 0.330 GLD 68 -0.00580 0.0125
6 2007-04-18 104. SPY 147. 0.00120 0.0226 0.0504 0.0297 0.145 0.304 0.301 GLD 68.4 0.0056 0.0194
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
